A STUDY OF PENALTY FORMULATIONS USED IN THE NUMERICAL APPROXIMATION OF A RADIALLY SYMMETRIC ELASTICITY PROBLEM

We consider a class of two-dimensional problems in classical linear elasticity for which material overlapping occurs in the absence of singularities. Of course, material overlapping is not physically realistic, and one possible way to prevent it uses a constrained minimization theory. In this theory, a minimization problem consists of minimizing the total potential energy of a linear elastic body subject to the constraint that the deformation field must be locally invertible. Here, we use an interior and an exterior penalty formulation of the minimization problem together with both a standard finite element method and classical nonlinear programming techniques to compute the minimizers. We compare both formulations by solving a plane problem numerically in the context of the constrained minimization theory. The problem has a closed-form solution, which is used to validate the numerical results. This solution is regular everywhere, including the boundary. In particular, we show numerical results which indicate that, for a fixed finite element mesh, the sequences of numerical solutions obtained with both the interior and the exterior penalty formulations converge to the same limit function as the penalization is enforced. This limit function yields an approximate deformation field to the plane problem that is locally invertible at all points in the domain. As the mesh is refined, this field converges to the exact solution of the plane problem.

A fully adaptive numerical approximation for a two-dimensional epidemic model with nonlinear cross-diffusion

An epidemic model is formulated by a reactionâeuro"diffusion system where the spatial pattern formation is driven by cross-diffusion. The reaction terms describe the local dynamics of susceptible and infected species, whereas the diffusion terms account for the spatial distribution dynamics. For both self-diffusion and cross-diffusion, nonlinear constitutive assumptions are suggested. To simulate the pattern formation two finite volume formulations are proposed, which employ a conservative and a non-conservative discretization, respectively. An efficient simulation is obtained by a fully adaptive multiresolution strategy. Numerical examples illustrate the impact of the cross-diffusion on the pattern formation.

Numerical approximation of the Ginzburg-Landau equation with memory effects in the dynamics of phase transitions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Numerical approximation of the one-dimensional inverse Cauchy–Stefan problem using a method of fundamental solutions

We investigate an application of the method of fundamental solutions (MFS) to the one-dimensional parabolic inverse Cauchy–Stefan problem, where boundary data and the initial condition are to be determined from the Cauchy data prescribed on a given moving interface. In [B.T. Johansson, D. Lesnic, and T. Reeve, A method of fundamental solutions for the one-dimensional inverse Stefan Problem, Appl. Math Model. 35 (2011), pp. 4367–4378], the inverse Stefan problem was considered, where only the boundary data is to be reconstructed on the fixed boundary. We extend the MFS proposed in Johansson et al. (2011) and show that the initial condition can also be simultaneously recovered, i.e. the MFS is appropriate for the inverse Cauchy-Stefan problem. Theoretical properties of the method, as well as numerical investigations, are included, showing that accurate results can be efficiently obtained with small computational cost.

A survey of methods of numerical approximation to functions

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Numerical Approximation of a Fractional-In-Space Diffusion Equation, I

2000 Mathematics Subject Classification: 26A33 (primary), 35S15 (secondary)

Numerical Approximation of a Fractional-In-Space Diffusion Equation (II) – with Nonhomogeneous Boundary Conditions

2000 Mathematics Subject Classification: 26A33 (primary), 35S15

Comparison of different numerical methods for the solution of the time-fractional reaction-diffusion equation with variable diffusion coefficient

In this work we perform a comparison of two different numerical schemes for the solution of the time-fractional diffusion equation with variable diffusion coefficient and a nonlinear source term. The two methods are the implicit numerical scheme presented in [M.L. Morgado, M. Rebelo, Numerical approximation of distributed order reaction- diffusion equations, Journal of Computational and Applied Mathematics 275 (2015) 216-227] that is adapted to our type of equation, and a colocation method where Chebyshev polynomials are used to reduce the fractional differential equation to a system of ordinary differential equations

Outage thresholds of LDPC codes over nonergodic block-fading channels

This paper derives approximations allowing the estimation of outage probability for standard irregular LDPC codes and full-diversity Root-LDPC codes used over nonergodic block-fading channels. Two separate approaches are discussed: a numerical approximation, obtained by curve fitting, for both code ensembles, and an analytical approximation for Root-LDPC codes, obtained under the assumption that the slope of the iterative threshold curve of a given code ensemble matches the slope of the outage capacity curve in the high-SNR regime.

On iterative performance of LDPC and Root-LDPC codes over block-fading channels

This paper presents our investigation on iterativedecoding performances of some sparse-graph codes on block-fading Rayleigh channels. The considered code ensembles are standard LDPC codes and Root-LDPC codes, first proposed in and shown to be able to attain the full transmission diversity. We study the iterative threshold performance of those codes as a function of fading gains of the transmission channel and propose a numerical approximation of the iterative threshold versus fading gains, both both LDPC and Root-LDPC codes.Also, we show analytically that, in the case of 2 fading blocks,the iterative threshold root of Root-LDPC codes is proportional to (α1 α2)1, where α1 and α2 are corresponding fading gains.From this result, the full diversity property of Root-LDPC codes immediately follows.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Manipulació geomètrica dels blocs d'AutoCAD

Aquest text és un recull de procediments per inserir els blocs d'AutoCAD de forma més eficient, en la resolució de problemes prèviament tipificats: la PRIMERA PART descriu protocols d'actuació que l'usuari haurà d'aplicar manualment, mentre que la SEGONA PART ofereix rutines programades en AutoLISP i VisualLISP que l'eximiran d'aquesta obligació.Si ho deixéssim aquí, però, podria semblar que els mateixos mètodes manuals presentats en primer lloc són després els que AutoLISP automatitza; per això convé aclarir que la problemàtica de la PRIMERA PART, tot i que pròxima a la de la SEGONA, és diferent i reprodueix el contingut d'una monografia (BLOCS I GEOMETRIA: 5 EXERCICIS COMENTATS) que forma part del material de suport a l'assignatura ELEMENTS DE CAD, impartida per l'autor en l'ETS d'Enginyeria de Telecomunicació de Barcelona i que té per objecte cobrir el buit bibliogràfic que es detectava en el vessant geomètric de la inserció de blocs, a diferència del que s'ocupa de l'estructura de dades més adient en cada context (incrustació de dibuixos amb INSERT versus vinculació mitjançant REFX), més profusament tractat, proposant una sistematització tipològica dels casos on l'escala és funció lineal d'una distància.La SEGONA PART va més enllà i amplia el repertori d'AutoCAD amb les ordres GINSERT, RATREDIT, INSERTOK, INS2D, INS3D, BLOQUEOK, DESCOMPOK, DEF-TRANSF, APL-TRANSF-V i APL-TRANSF-N, de les quals INS2D i INS3D (INSERTOK és una versió simplificada de INS2D, per a blocs sense atributs) són l'aportació més innovadora i que més lluny porta les potencialitats de la inserció de blocs: resumint-ho en una frase, es tracta d’aconseguir que la inserció d’un bloc (que pot ser l’original, un bloc constituït per una inserció de l’original o un de constituït per la inserció del precedent) s’encabeixi en un marc prèviament establert, a semblança de les ordres ESCALA o GIRA, que mitjançant l'opció Referencia apliquen als objectes seleccionats la transformació d'escalat o de rotació necessària per tal que un element de referència assoleixi una determinada grandària o posició. Tot i que, per identificar amb encert el nucli del problema, serà inevitable introduir una reflexió: quan s’ha tingut la precaució de referir un bloc 2D a un quadrat unitari ortogonal, inserir-lo de manera que s’adapti a qualsevol marc rectangular establert en el dibuix és immediat, però ja no ho és tant concatenar insercions de manera que, a més d’una combinació simple de escalat, gir i translació, l’operació dugui implícita una transformació de cisallament. Perquè és clar que si inserim el bloc girat i convertim la inserció en un bloc que al seu torn tornem a inserir, ara però amb escalat no uniforme, el transformat del quadrat de referència primitiu serà un paral·lelogram, però el problema és: dibuixat un marc romboïdal concret, ¿quin gir caldrà donar a la primera inserció, i quin gir i factors d’escala caldrà aplicar a la segona perquè el quadrat de referència s’adapti al marc? El problema es complica si, a més, volem aprofitar el resultat de la primera inserció per a d’altres paral·lelograms, organitzant un sistema no redundant de insercions intermèdies. Doncs bé: INS2D i INS3D donen satisfacció a aquestes qüestions (la segona ja no contempla l'encaix en un paral·lelogram, sinó en un paral·lelepípede) i són aplicables a blocs proveïts d’atributs, no només de tipus convencional (els continguts en el pla de base del bloc, únics de funcionament garantit amb l’ordre INSERT), sinó també dels situats i orientats lliurement.

Particle transport method for convection-diffusion-reaction problems

Convective transport, both pure and combined with diffusion and reaction, can be observed in a wide range of physical and industrial applications, such as heat and mass transfer, crystal growth or biomechanics. The numerical approximation of this class of problemscan present substantial difficulties clue to regions of high gradients (steep fronts) of the solution, where generation of spurious oscillations or smearing should be precluded. This work is devoted to the development of an efficient numerical technique to deal with pure linear convection and convection-dominated problems in the frame-work of convection-diffusion-reaction systems. The particle transport method, developed in this study, is based on using rneshless numerical particles which carry out the solution along the characteristics defining the convective transport. The resolution of steep fronts of the solution is controlled by a special spacial adaptivity procedure. The serni-Lagrangian particle transport method uses an Eulerian fixed grid to represent the solution. In the case of convection-diffusion-reaction problems, the method is combined with diffusion and reaction solvers within an operator splitting approach. To transfer the solution from the particle set onto the grid, a fast monotone projection technique is designed. Our numerical results confirm that the method has a spacial accuracy of the second order and can be faster than typical grid-based methods of the same order; for pure linear convection problems the method demonstrates optimal linear complexity. The method works on structured and unstructured meshes, demonstrating a high-resolution property in the regions of steep fronts of the solution. Moreover, the particle transport method can be successfully used for the numerical simulation of the real-life problems in, for example, chemical engineering.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.